The basic concept is that there is water in the air, but the air can only hold so much water. Specifically, the amount of water the air can hold depends a lot on temperature, the higher tempeature the more water it can hold. This means that if you cool the air down it might not be able to hold the water anymore. The temperature at which that happens for the air we are speaking of, is called the dew point.
Anyway we use sweat that evaporates to cool us, so if its humid and hot, we will sweat a lot, but that sweat isn’t evaporating because the water is having a hard time holding on to the water. So the attempt to cool yourself doesn’t work and the body just continues to sweat more.
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